Heat the oven to 350°F/180°C convection. Generously butter a 9-by-13-inch baking dish.
Lay 3 sheets of phyllo on a work surface. Brush the top sheet lightly with melted butter and scatter a small handful of ground walnuts over the surface. Roll tightly into a log.
Repeat with the remaining phyllo and walnuts to form several logs, arranging them snugly in the prepared baking dish.
Pour the remaining melted butter evenly over the rolls so they are well coated. Using a sharp knife, slice the rolls into portions.
Bake until deeply golden and crisp, about 25 minutes.
Meanwhile, combine the sugar, water and lemon juice in a small saucepan and bring to a boil. Cook for 2 to 3 minutes, until the sugar dissolves and the syrup is clear.
Remove the walnut baklava from the oven and immediately pour the hot syrup evenly over the rolls. Let cool slightly so the syrup absorbs before serving.